BETHESDA, Md., April 25,
2018 /PRNewswire/ -- AGNC Investment Corp. ("AGNC" or the
"Company") (Nasdaq: AGNC) today announced financial results for the
quarter ended March 31, 2018.
FIRST QUARTER 2018 FINANCIAL HIGHLIGHTS
- $(0.53) comprehensive loss per
common share, comprised of:
-
- $1.06 net income per common
share
- $(1.59) other comprehensive loss
("OCI") per common share on investments marked-to-market through
OCI
- $0.60 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization benefit 1
-
- Includes $0.16 per common share
of dollar roll income associated with the Company's $15.6 billion average net long position in
forward purchases and sales of Agency mortgage-backed securities
("MBS") in the "to-be-announced" ("TBA") market
- Excludes $0.05 per common share
of estimated "catch-up" premium amortization benefit due to change
in projected constant prepayment rate ("CPR") estimates
- $18.63 tangible net book value
per common share as of March 31,
2018
-
- Decreased $(1.06) per common
share, or -5.4%, from $19.69 per
common share as of December 31,
2017
- Excludes $550 million, or
$1.41 per common share, of goodwill
and other intangible assets as of March 31,
2018
- $0.54 dividends declared per
common share during the quarter
- -2.6% economic return on tangible common equity for the
quarter
-
- Comprised of $0.54 dividends per
common share and $(1.06) decrease in
tangible net book value per common share
OTHER FIRST QUARTER HIGHLIGHTS
- $69.3 billion investment
portfolio as of March 31, 2018,
comprised of:
-
- $54.8 billion Agency MBS
- $13.6 billion TBA mortgage
position
- $0.9 billion credit risk transfer
("CRT") and non-Agency securities
- 8.2x tangible net book value "at risk" leverage as of
March 31, 2018
-
- 8.2x average tangible net book value "at risk" leverage for the
quarter
- 8.6% portfolio CPR for the quarter
-
- 7.6% average projected portfolio life CPR as of March 31, 2018
- 1.26% annualized net interest margin and TBA dollar roll income
for the quarter, excluding estimated "catch-up" premium
amortization benefit
-
- Excludes 12 bps of "catch up" premium amortization benefit due
to change in projected CPR estimates
- Decreased from 1.36% for the prior quarter, excluding -2 bps of
"catch-up" premium amortization cost
1. Represents a non-GAAP measure. Please refer
to a reconciliation to the most applicable GAAP measure and
additional information regarding the use of non-GAAP financial
information later in this release.
MANAGEMENT REMARKS
"The key market dynamics from 2017
- low volatility, steadily increasing equity valuations, stable
longer-term rates, and tighter credit spreads - reversed course
dramatically during the first quarter of 2018. On the
interest rate front, the 10-year U.S. Treasury rate rose 33 basis
points, while shorter maturity Treasury rates and swap rates
generally increased between 40 and 50 basis points.
Consistent with the increase in volatility and wider credit
spreads, spreads on Agency mortgage-backed securities ("Agency
MBS") relative to benchmarks widened close to 10 basis points and
were the primary driver of AGNC's book value decline during
the first quarter," commented Gary Kain, the Company's Chief
Executive Officer and Chief Investment Officer. "Fortunately,
AGNC was very well positioned for the interest rate move as a
direct result of the actions we took in the fourth quarter of last
year to limit our duration gap. Our historically high hedge
ratio minimized the impact of the movement in interest rates on our
economic return and will continue to limit our exposure to further
rate increases.
"While wider Agency MBS spreads were a significant contributor
to the decline in our net book value in the first quarter, they
also serve to improve the go-forward return profile of our new
Agency MBS investment opportunities. As such, we continue to
believe that Agency MBS provide the most attractive risk-adjusted
returns for levered investors, especially when favorable funding
trends are considered. By contrast, valuations of
credit-sensitive mortgage investments returned to their recent
highs in April, in turn reducing expected levered returns to levels
that, in general, we do not find attractive."
"Late in the first quarter, the favorable funding dynamics for
Agency MBS that we have discussed for several quarters improved
meaningfully, augmenting our absolute return potential from Agency
MBS," added Peter Federico, the Company's President and Chief
Operating Officer. "Specifically, the spread between Agency
MBS repo funding and corresponding LIBOR rates widened
significantly during the quarter, particularly in March. This
favorable spread differential will increasingly manifest itself as
our pay fixed-receive floating rate swaps reset, reducing the
cost of these hedges and providing a tailwind to our cost of funds
and, in turn, our net spread income. Finally, our currently
high hedge ratio, limited duration gap and modest leverage provide
several levers to enhance returns as market conditions
evolve."
TANGIBLE NET BOOK VALUE PER COMMON SHARE
As of
March 31, 2018, the Company's tangible net book value per
common share was $18.63 per share,
compared to $19.69 per share as of
December 31, 2017. The decline of $(1.06) per common share, or -5.4%, was
primarily due to wider mortgage spreads and, to a lesser
extent, higher long-term rates during the first quarter. The
Company's tangible net book value per common share excludes
$550 million, or $1.41 per common share, of goodwill and other
intangible assets as of March 31, 2018.
INVESTMENT PORTFOLIO
As of March 31, 2018, the
Company's investment portfolio totaled $69.3
billion, comprised of:
- $68.4 billion of Agency MBS and
TBA securities, including:
-
- $67.3 billion of fixed-rate
securities, comprised of:
-
- $44.2 billion 30-year fixed-rate
securities,
- $9.7 billion 30-year TBA
securities,
- $8.8 billion 15-year
securities,
- $3.9 billion 15-year TBA
securities, and
- $0.7 billion 20-year fixed-rate
securities;
- $0.8 billion of collateralized
mortgage obligations ("CMOs"); and
- $0.3 billion of adjustable-rate
securities;
- $0.9 billion of CRT and
non-Agency securities; and
- $42 million of investments in
REIT equity securities consisting of shares of MTGE Investment
Corp. common stock.
As of March 31, 2018, inclusive of TBA securities, 30-year
and 15-year Agency MBS fixed rate securities represented 78% and
18% of the Company's investment portfolio, respectively, largely
unchanged from 77% and 19%, respectively, as of December 31,
2017.
As of March 31, 2018, the Company's fixed-rate Agency MBS,
inclusive of TBA securities, had a weighted average coupon of
3.57%, compared to 3.55% as of December 31, 2017, comprised of
the following weighted average coupons:
- 3.66% for 30-year fixed-rate securities;
- 3.20% for 15-year fixed rate securities; and
- 3.52% for 20-year fixed-rate securities.
The Company accounts for TBA securities (or "dollar roll funded
assets") as derivative instruments and recognizes dollar roll
income in other gain (loss), net on the Company's financial
statements. As of March 31, 2018, the Company's net TBA
position had a total fair value of $13.6
billion and a GAAP net carrying value of $82 million reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to a
total fair value of $15.7 billion and
a GAAP net carrying value of $3
million as of December 31, 2017.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a weighted average CPR of 8.6% for the first quarter,
compared to 10.1% for the prior quarter. The weighted average
projected CPR for the remaining life of the Company's Agency
securities held as of March 31, 2018 was 7.6%, compared to
8.4% as of December 31, 2017.
The weighted average cost basis of the Company's investment
portfolio was 104.7% of par value as of March 31, 2018.
Net premium amortization cost on the Company's investment portfolio
for the first quarter was $(69)
million, or $(0.18) per common
share, which includes a "catch-up" premium amortization benefit of
$21 million, or $0.05 per common share, due to changes in the
Company's projected CPR estimates for securities acquired prior to
the first quarter. This compares to net premium amortization
cost for the prior quarter of $(96)
million, or $(0.25) per common
share, including "catch-up" premium amortization cost of
$(3) million, or $(0.01) per common share.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its investment
portfolio, excluding the net TBA position, was 3.05% for the first
quarter, compared to 2.84% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's average asset yield
was 2.90% for the first quarter, compared to 2.86% for the prior
quarter. The Company's average asset yield including TBA securities
and excluding "catch-up" premium amortization for the first quarter
was 2.94%, an increase from 2.88% for the prior quarter.
For the first quarter, the weighted average interest rate on the
Company's Agency repurchase agreements was 1.69%, compared to 1.43%
for the prior quarter. The Company's average implied TBA
funding cost was 1.49% for the first quarter, compared to 1.23% for
the prior quarter. Inclusive of interest rate swap costs, the
Company's combined average cost of funds for the first quarter was
1.68%, an increase from 1.52% for the prior quarter.
The Company's annualized net interest margin, including TBA
securities and interest rate swap costs, was 1.38% for the first
quarter, compared to 1.35% for the prior quarter. Excluding
"catch-up" premium amortization, the Company's combined annualized
net interest margin for the first quarter was 1.26%, compared to
1.36% for the prior quarter.
NET SPREAD AND DOLLAR ROLL INCOME
The Company
recognized $0.65 per common share of
net spread and dollar roll income (a non-GAAP financial measure)
for the first quarter, compared to $0.62 for the prior quarter. Excluding
"catch-up" premium amortization, the Company's net spread and
dollar roll income was $0.60 per
common share for the first quarter, a decrease from $0.63 per common share for the prior
quarter. A reconciliation of the Company's net interest
income to net spread and dollar roll income and additional
information regarding the Company's use of non-GAAP measures are
included later in this release.
LEVERAGE
As of March 31, 2018, $49.0 billion of Agency repo, $13.5 billion of TBA dollar roll positions (at
cost) and $0.3 billion of other debt
were used to fund the Company's investment portfolio.
Inclusive of its net TBA position and net payable/(receivable) for
unsettled securities, the Company's tangible net book value "at
risk" leverage ratio was 8.2x as of March 31, 2018, compared
to 8.1x as of December 31, 2017.
As of March 31, 2018, the Company's Agency repurchase
agreements had a weighted average interest rate of 1.82%, an
increase from 1.57% as of December 31, 2017, and a weighted
average remaining days to maturity of 109 days, compared to 116
days as of December 31, 2017. As of March 31, 2018,
$18.8 billion, or 38%, of the
Company's Agency repurchase agreements were funded through the
Company's captive broker-dealer subsidiary, Bethesda Securities,
LLC, compared to $16.6 billion, or
33%, as of December 31, 2017.
As of March 31, 2018, the Company's Agency repurchase
agreements had remaining maturities of:
- $37.8 billion of three months or
less;
- $3.4 billion from three to six
months;
- $4.2 billion from six to twelve
months; and
- $3.6 billion from one to three
years.
HEDGING ACTIVITIES
As of March 31, 2018, 103% of
the Company's outstanding balance of Agency repurchase agreements,
other debt and net TBA position was hedged with interest rate
swaps, swaptions and U.S. Treasury positions, compared to 97% as of
December 31, 2017.
As of March 31, 2018, the Company's interest rate swap
position totaled $45.3 billion in
notional amount, compared to $43.7
billion as of December 31, 2017. The Company's
interest rate swap position as of March 31, 2018 included
$2.5 billion of forward starting
swaps, with an average forward start date of 0.4 years, compared to
$4.6 billion and 0.3 years,
respectively, as of December 31, 2017. Including
forward starting swaps, the Company's interest rate swap portfolio
had an average fixed pay rate of 1.82%, an average receive rate of
1.90% and an average maturity of 4.5 years as of March 31,
2018, compared to 1.74%, 1.44% and 4.5 years, respectively, as of
December 31, 2017. Excluding forward starting swaps, the
Company's interest rate swap portfolio had an average fixed pay
rate of 1.77% as of March 31, 2018, compared to 1.68% as of
December 31, 2017.
The Company also utilizes payer swaptions and U.S. Treasury
securities and futures to further mitigate exposure to changes in
interest rates. As of March 31, 2018, the Company had
payer swaptions outstanding totaling $6.8
billion, compared to $6.7
billion as of December 31, 2017, and short U.S.
Treasury positions outstanding totaling $13.0 billion, compared to $14.0 billion as of December 31,
2017.
OTHER GAIN (LOSS), NET
For the first quarter, the
Company recorded a net gain of $217
million in other gain (loss), net, or $0.55 per common share, compared to a net gain of
$194 million, or $0.50 per common share, for the prior
quarter. Other gain (loss), net for the first quarter was
comprised of:
- $(2) million of net realized
losses on sales of investment securities;
- $(523) million of net unrealized
losses on investment securities measured at fair value through net
income;
- $(9) million of interest rate
swap periodic costs;
- $672 million of net gains on
interest rate swaps;
- $91 million of net gains on
interest rate swaptions;
- $274 million of net gains on U.S.
Treasury positions;
- $62 million of TBA dollar roll
income;
- $(354) million of net
mark-to-market losses on TBA mortgage positions;
- $4 million of management fee
income; and
- $2 million of other net
miscellaneous gains.
OTHER COMPREHENSIVE LOSS
During the first quarter,
the Company recorded an other comprehensive loss of $(621) million, or $(1.59) per common share, consisting of net
unrealized losses on the Company's Agency securities recognized
through OCI, compared to a $(205)
million, or $(0.52) per common
share, other comprehensive loss for the prior quarter.
FIRST QUARTER 2018 DIVIDEND DECLARATIONS
During the
first quarter, the Company's Board of Directors declared dividends
of $0.18 per share to common
stockholders of record as of January
31, February 28 and
March 29, 2018, respectively,
totaling $0.54 per share for the
quarter, which were paid on February
8, March 8 and April 9, 2018, respectively. Since its
May 2008 initial public offering
through the first quarter of 2018, the Company has declared a total
of $7.8 billion in common stock
dividends, or $37.70 per common
share.
On March 13, 2018, the Company's Board of Directors
declared a first quarter dividend on its 7.750% Series B Cumulative
Redeemable Preferred Stock of $0.484375 per depositary share and on its Series
C Preferred Stock of $0.43750 per
depositary share. The dividends were paid on April 16, 2018 to
preferred stockholders of record as of April 1, 2018.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following measures of operating performance
include net spread and dollar roll income; net spread and dollar
roll income, excluding "catch-up" premium amortization; economic
interest income; economic interest expense; estimated taxable
income; and the related per common share measures and financial
metrics derived from such information, which are non-GAAP financial
measures. Please refer to "Use of Non-GAAP Financial
Information" later in this release for further discussion of
non-GAAP measures.
AGNC INVESTMENT
CORP.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2018
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value (including pledged securities of
$51,434,
$53,055, $47,997, $41,263 and $41,587,
respectively)
|
$
54,141
|
|
$
55,506
|
|
$
51,638
|
|
$
45,226
|
|
$
43,856
|
Agency
securities transferred to consolidated variable interest entities,
at fair value
(pledged securities)
|
621
|
|
662
|
|
700
|
|
737
|
|
777
|
Credit risk
transfer securities, at fair value
|
884
|
|
876
|
|
717
|
|
572
|
|
383
|
Non-Agency
securities, at fair value
|
36
|
|
36
|
|
36
|
|
31
|
|
31
|
U.S. Treasury
securities, at fair value
|
224
|
|
-
|
|
-
|
|
-
|
|
-
|
REIT equity
securities, at fair value
|
42
|
|
29
|
|
4
|
|
4
|
|
-
|
Cash and cash
equivalents
|
972
|
|
1,046
|
|
1,098
|
|
1,122
|
|
1,073
|
Restricted
cash
|
386
|
|
317
|
|
294
|
|
261
|
|
219
|
Derivative
assets, at fair value
|
410
|
|
205
|
|
183
|
|
214
|
|
205
|
Receivable for
investment securities sold (including pledged securities
of $0, $0, $149, $348 and $537, respectively)
|
-
|
|
-
|
|
521
|
|
353
|
|
688
|
Receivable
under reverse repurchase agreements
|
10,770
|
|
10,961
|
|
9,226
|
|
7,489
|
|
8,908
|
Goodwill and
other intangible assets, net
|
550
|
|
551
|
|
552
|
|
553
|
|
554
|
Other
assets
|
185
|
|
187
|
|
521
|
|
149
|
|
144
|
Total
assets
|
$
69,221
|
|
$
70,376
|
|
$
65,490
|
|
$
56,711
|
|
$
56,838
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$
48,956
|
|
$
50,296
|
|
$
45,505
|
|
$
39,058
|
|
$
39,375
|
Debt of
consolidated variable interest entities, at fair value
|
336
|
|
357
|
|
380
|
|
405
|
|
434
|
Payable for
investment securities purchased
|
457
|
|
95
|
|
1,373
|
|
2,005
|
|
693
|
Derivative
liabilities, at fair value
|
32
|
|
28
|
|
62
|
|
73
|
|
69
|
Dividends
payable
|
80
|
|
80
|
|
77
|
|
71
|
|
66
|
Obligation to
return securities borrowed under reverse repurchase agreements,
at fair
value
|
10,352
|
|
10,467
|
|
9,119
|
|
7,221
|
|
8,792
|
Accounts
payable and other liabilities
|
670
|
|
299
|
|
183
|
|
133
|
|
117
|
Total
liabilities
|
60,883
|
|
61,622
|
|
56,699
|
|
48,966
|
|
49,546
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred stock
- aggregate liquidation preference of $500, $500, $500, $348 and
$348,
respectively
|
484
|
|
484
|
|
484
|
|
336
|
|
336
|
Common stock -
$0.01 par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
391.3, 391.3,
391.3, 355.6 and 331.0 shares issued and outstanding,
respectively
|
4
|
|
4
|
|
4
|
|
4
|
|
3
|
Additional
paid-in capital
|
11,174
|
|
11,173
|
|
11,172
|
|
10,435
|
|
9,932
|
Retained
deficit
|
(2,358)
|
|
(2,562)
|
|
(2,729)
|
|
(2,800)
|
|
(2,628)
|
Accumulated
other comprehensive loss
|
(966)
|
|
(345)
|
|
(140)
|
|
(230)
|
|
(351)
|
Total stockholders'
equity
|
8,338
|
|
8,754
|
|
8,791
|
|
7,745
|
|
7,292
|
Total liabilities and
stockholders' equity
|
$
69,221
|
|
$
70,376
|
|
$
65,490
|
|
$
56,711
|
|
$
56,838
|
|
|
|
|
|
|
|
|
|
|
Tangible net book
value per common share 1
|
$
18.63
|
|
$
19.69
|
|
$
19.78
|
|
$
19.25
|
|
$
19.31
|
AGNC INVESTMENT
CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2018
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
431
|
|
$
386
|
|
$
318
|
|
$
293
|
|
$
296
|
Interest
expense
|
206
|
|
174
|
|
140
|
|
112
|
|
98
|
Net
interest income
|
225
|
|
212
|
|
178
|
|
181
|
|
198
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Realized gain
(loss) on sale of investment securities, net
|
(2)
|
|
(16)
|
|
22
|
|
15
|
|
(84)
|
Unrealized gain
(loss) on investment securities measured at fair value through
net
income, net
|
(523)
|
|
(65)
|
|
(31)
|
|
9
|
|
16
|
Gain (loss) on
derivative instruments and other securities, net
|
738
|
|
271
|
|
131
|
|
(169)
|
|
(40)
|
Management fee
income 2
|
4
|
|
4
|
|
4
|
|
4
|
|
4
|
Total other gain
(loss), net
|
217
|
|
194
|
|
126
|
|
(141)
|
|
(104)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation
and benefits
|
10
|
|
12
|
|
10
|
|
10
|
|
10
|
Other operating
expenses 2
|
8
|
|
9
|
|
8
|
|
6
|
|
8
|
Total operating
expenses
|
18
|
|
21
|
|
18
|
|
16
|
|
18
|
Net
income
|
424
|
|
385
|
|
286
|
|
24
|
|
76
|
Dividend on
preferred stock
|
9
|
|
9
|
|
9
|
|
7
|
|
7
|
Issuance costs
of redeemed preferred stock
|
-
|
|
-
|
|
6
|
|
-
|
|
-
|
Net income
available to common stockholders
|
$
415
|
|
$
376
|
|
$
271
|
|
$
17
|
|
$
69
|
|
|
|
|
|
|
|
|
|
|
Net
income
|
$
424
|
|
$
385
|
|
$
286
|
|
$
24
|
|
$
76
|
Unrealized gain
(loss) on investment securities measured at fair value through
other
comprehensive income (loss), net
|
(621)
|
|
(205)
|
|
90
|
|
121
|
|
46
|
Comprehensive
income (loss)
|
(197)
|
|
180
|
|
376
|
|
145
|
|
122
|
Dividend on
preferred stock
|
9
|
|
9
|
|
9
|
|
7
|
|
7
|
Issuance costs
of redeemed preferred stock
|
-
|
|
-
|
|
6
|
|
-
|
|
-
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
(206)
|
|
$
171
|
|
$
361
|
|
$
138
|
|
$
115
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
391.3
|
|
391.3
|
|
364.7
|
|
346.4
|
|
331.0
|
Weighted average
number of common shares outstanding - diluted
|
391.5
|
|
391.5
|
|
364.9
|
|
346.5
|
|
331.1
|
Net income per
common share - basic and diluted
|
$
1.06
|
|
$
0.96
|
|
$
0.74
|
|
$
0.05
|
|
$
0.21
|
Comprehensive
income (loss) per common share - basic and diluted
|
$
(0.53)
|
|
$
0.44
|
|
$
0.99
|
|
$
0.40
|
|
$
0.35
|
Dividends declared
per common share
|
$
0.54
|
|
$
0.54
|
|
$
0.54
|
|
$
0.54
|
|
$
0.54
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
3
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2018
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
GAAP net interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
431
|
|
$
386
|
|
$
318
|
|
$
293
|
|
$
296
|
Interest
expense
|
206
|
|
174
|
|
140
|
|
112
|
|
98
|
GAAP net
interest income
|
225
|
|
212
|
|
178
|
|
181
|
|
198
|
TBA dollar roll
income, net 4,5
|
62
|
|
78
|
|
87
|
|
93
|
|
71
|
Interest rate
swap periodic costs 4,9
|
(9)
|
|
(21)
|
|
(26)
|
|
(35)
|
|
(45)
|
Dividend income
from REIT equity securities 4
|
1
|
|
1
|
|
-
|
|
-
|
|
-
|
Adjusted net
interest and dollar roll income
|
279
|
|
270
|
|
239
|
|
239
|
|
224
|
Other operating
income (expense):
|
|
|
|
|
|
|
|
|
|
Management fee
income
|
4
|
|
4
|
|
4
|
|
4
|
|
4
|
Operating
expenses
|
(18)
|
|
(21)
|
|
(18)
|
|
(16)
|
|
(18)
|
Total operating
income (expense), net
|
(14)
|
|
(17)
|
|
(14)
|
|
(12)
|
|
(14)
|
Net spread and dollar
roll income
|
265
|
|
253
|
|
225
|
|
227
|
|
210
|
Dividend on preferred
stock
|
9
|
|
9
|
|
9
|
|
7
|
|
7
|
Net spread and dollar
roll income available to common stockholders
|
256
|
|
244
|
|
216
|
|
220
|
|
203
|
Estimated
"catch-up" premium amortization cost (benefit) due to change in CPR
forecast 11
|
(21)
|
|
3
|
|
12
|
|
13
|
|
9
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, available
to common stockholders
|
$
235
|
|
$
247
|
|
$
228
|
|
$
233
|
|
$
212
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
391.3
|
|
391.3
|
|
364.7
|
|
346.4
|
|
331.0
|
Weighted average
number of common shares outstanding - diluted
|
391.5
|
|
391.5
|
|
364.9
|
|
346.5
|
|
331.1
|
Net spread and dollar
roll income per common share - basic
|
$
0.65
|
|
$
0.62
|
|
$
0.59
|
|
$
0.64
|
|
$
0.61
|
Net spread and dollar
roll income per common share - diluted
|
$
0.65
|
|
$
0.62
|
|
$
0.59
|
|
$
0.63
|
|
$
0.61
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - basic
|
$
0.60
|
|
$
0.63
|
|
$
0.63
|
|
$
0.67
|
|
$
0.64
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per common
share - diluted
|
$
0.60
|
|
$
0.63
|
|
$
0.62
|
|
$
0.67
|
|
$
0.64
|
AGNC INVESTMENT
CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME 3
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2018
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
Net income
|
$
424
|
|
$
385
|
|
$
286
|
|
$
24
|
|
$
76
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium
amortization, net
|
(23)
|
|
(7)
|
|
(3)
|
|
4
|
|
(3)
|
Realized
gain/loss, net
|
(652)
|
|
(262)
|
|
(112)
|
|
99
|
|
(379)
|
Net capital
loss/(utilization of net capital loss carryforward)
|
245
|
|
20
|
|
(159)
|
|
(232)
|
|
276
|
Unrealized
gain/(loss), net
|
108
|
|
(55)
|
|
41
|
|
160
|
|
77
|
Other
|
(13)
|
|
1
|
|
(2)
|
|
(2)
|
|
(10)
|
Total
book to tax differences
|
(335)
|
|
(303)
|
|
(235)
|
|
29
|
|
(39)
|
Estimated REIT
taxable income
|
89
|
|
82
|
|
51
|
|
53
|
|
37
|
Dividend on
preferred stock
|
9
|
|
9
|
|
9
|
|
7
|
|
7
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
80
|
|
$
73
|
|
$
42
|
|
$
46
|
|
$
30
|
Weighted average
number of common shares outstanding - basic
|
391.3
|
|
391.3
|
|
364.7
|
|
346.4
|
|
331.0
|
Weighted average
number of common shares outstanding - diluted
|
391.5
|
|
391.5
|
|
364.9
|
|
346.5
|
|
331.1
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
0.20
|
|
$
0.19
|
|
$
0.12
|
|
$
0.13
|
|
$
0.09
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible net capital loss
|
$
357
|
|
$
337
|
|
$
496
|
|
$
728
|
|
$
452
|
Net capital
loss/(utilization of net capital loss carryforward)
|
245
|
|
20
|
|
(159)
|
|
(232)
|
|
276
|
Ending cumulative
non-deductible net capital loss
|
$
602
|
|
$
357
|
|
$
337
|
|
$
496
|
|
$
728
|
Ending cumulative
non-deductible net capital loss per common share
|
$
1.54
|
|
$
0.91
|
|
$
0.86
|
|
$
1.39
|
|
$
2.20
|
AGNC INVESTMENT
CORP.
|
NET INTEREST MARGIN
COMPONENTS BY FUNDING SOURCE 3
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2018
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
Adjusted net
interest and dollar roll income, excluding "catch-up" premium
amortization:
|
|
|
|
|
|
|
|
|
|
Economic
interest income:
|
|
|
|
|
|
|
|
|
|
Investment securities - GAAP interest income
12
|
$
431
|
|
$
386
|
|
$
318
|
|
$
293
|
|
$
296
|
Estimated "catch-up" premium amortization cost (benefit) due to
change in CPR
forecast 11
|
(21)
|
|
3
|
|
12
|
|
13
|
|
9
|
TBA
dollar roll income - implied interest
income4,7
|
120
|
|
134
|
|
139
|
|
130
|
|
90
|
Economic
interest income, excluding "catch-up" premium
amortization
|
530
|
|
523
|
|
469
|
|
436
|
|
395
|
Economic
interest expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements and other debt - GAAP interest
expense
|
(206)
|
|
(174)
|
|
(140)
|
|
(112)
|
|
(98)
|
TBA
dollar roll income - implied interest expense
4,6
|
(58)
|
|
(56)
|
|
(52)
|
|
(37)
|
|
(19)
|
Interest
rate swap periodic costs 4,9
|
(9)
|
|
(21)
|
|
(26)
|
|
(35)
|
|
(45)
|
Economic
interest expense
|
(273)
|
|
(251)
|
|
(218)
|
|
(184)
|
|
(162)
|
Dividend
income from REIT equity securities 4
|
1
|
|
1
|
|
-
|
|
-
|
|
-
|
Adjusted net
interest and dollar roll income, excluding "catch-up" premium
amortization
|
$
258
|
|
$
273
|
|
$
251
|
|
$
252
|
|
$
233
|
|
|
|
|
|
|
|
|
|
|
Net interest
margin, excluding "catch-up" amortization:
|
|
|
|
|
|
|
|
|
|
Average asset
yield:
|
|
|
|
|
|
|
|
|
|
Investment securities - average asset yield
|
3.05%
|
|
2.84%
|
|
2.72%
|
|
2.66%
|
|
2.68%
|
Estimated "catch-up" premium amortization cost (benefit) due to
change in CPR
forecast
|
(0.15)%
|
|
0.02%
|
|
0.10%
|
|
0.12%
|
|
0.08%
|
Investment securities average asset yield, excluding "catch-up"
premium amortization
|
2.90%
|
|
2.86%
|
|
2.82%
|
|
2.78%
|
|
2.76%
|
TBA
securities - average implied asset yield 7
|
3.08%
|
|
2.93%
|
|
2.99%
|
|
3.08%
|
|
2.69%
|
Average asset yield,
excluding "catch-up" premium amortization 8
|
2.94%
|
|
2.88%
|
|
2.87%
|
|
2.86%
|
|
2.74%
|
Average total cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements and other debt - average funding
cost
|
1.69%
|
|
1.43%
|
|
1.34%
|
|
1.15%
|
|
1.01%
|
TBA
securities - average implied funding cost 6
|
1.49%
|
|
1.23%
|
|
1.12%
|
|
0.88%
|
|
0.58%
|
Average
cost of funds, before interest rate swap cost of funds
8
|
1.62%
|
|
1.39%
|
|
1.28%
|
|
1.07%
|
|
0.89%
|
Interest
rate swap cost of funds 10
|
0.06%
|
|
0.13%
|
|
0.18%
|
|
0.24%
|
|
0.34%
|
Average total cost of
funds
|
1.68%
|
|
1.52%
|
|
1.46%
|
|
1.31%
|
|
1.23%
|
Average net interest
margin, excluding "catch-up" premium amortization
|
1.26%
|
|
1.36%
|
|
1.41%
|
|
1.55%
|
|
1.51%
|
AGNC INVESTMENT
CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
2018
|
|
2017
|
|
2017
|
|
2017
|
|
2017
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Fixed-rate
Agency MBS, at fair value - as of period end
|
$
53,696
|
|
$
55,026
|
|
$
51,104
|
|
$
44,643
|
|
$
43,232
|
Other Agency
MBS, at fair value - as of period end
|
$
1,066
|
|
$
1,142
|
|
$
1,234
|
|
$
1,320
|
|
$
1,401
|
Credit risk
transfer securities, at fair value - as of period end
|
$
884
|
|
$
876
|
|
$
717
|
|
$
572
|
|
$
383
|
Non-Agency MBS,
at fair value - as of period end
|
$
36
|
|
$
36
|
|
$
36
|
|
$
31
|
|
$
31
|
Total
investment securities, at fair value - as of period end
|
$
55,682
|
|
$
57,080
|
|
$
53,091
|
|
$
46,566
|
|
$
45,047
|
Total
investment securities, at cost - as of period end
|
$
57,211
|
|
$
57,466
|
|
$
53,206
|
|
$
46,744
|
|
$
45,354
|
Total
investment securities, at par - as of period end
|
$
54,625
|
|
$
54,804
|
|
$
50,795
|
|
$
44,593
|
|
$
43,298
|
Average
investment securities, at cost
|
$
56,573
|
|
$
54,406
|
|
$
46,808
|
|
$
43,992
|
|
$
44,215
|
Average
investment securities, at par
|
$
53,986
|
|
$
51,914
|
|
$
44,672
|
|
$
41,986
|
|
$
42,218
|
TBA
securities:
|
|
|
|
|
|
|
|
|
|
Net TBA
portfolio - as of period end, at fair value
|
$
13,611
|
|
$
15,742
|
|
$
19,409
|
|
$
17,271
|
|
$
14,447
|
Net TBA
portfolio - as of period end, at cost
|
$
13,529
|
|
$
15,739
|
|
$
19,433
|
|
$
17,283
|
|
$
14,377
|
Net TBA
portfolio - as of period end, carrying value
|
$
82
|
|
$
3
|
|
$
(24)
|
|
$
(12)
|
|
$
70
|
Average net TBA
portfolio, at cost
|
$
15,585
|
|
$
18,355
|
|
$
18,616
|
|
$
16,931
|
|
$
13,460
|
Average repurchase
agreements and other debt 13
|
$
49,567
|
|
$
48,122
|
|
$
41,406
|
|
$
38,945
|
|
$
39,203
|
Average stockholders'
equity 14
|
$
8,535
|
|
$
8,741
|
|
$
8,134
|
|
$
7,552
|
|
$
7,310
|
Tangible net book
value per common share 1
|
$
18.63
|
|
$
19.69
|
|
$
19.78
|
|
$
19.25
|
|
$
19.31
|
Tangible net book
value "at risk" leverage - average 15
|
8.2:1
|
|
8.1:1
|
|
7.9:1
|
|
8.0:1
|
|
7.8:1
|
Tangible net book
value "at risk" leverage - as of period end
16
|
8.2:1
|
|
8.1:1
|
|
8.0:1
|
|
8.1:1
|
|
8.0:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Investment
securities: 12
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
3.70%
|
|
3.71%
|
|
3.72%
|
|
3.70%
|
|
3.65%
|
Average asset
yield
|
3.05%
|
|
2.84%
|
|
2.72%
|
|
2.66%
|
|
2.68%
|
Average asset
yield, excluding "catch-up" premium amortization
|
2.90%
|
|
2.86%
|
|
2.82%
|
|
2.78%
|
|
2.76%
|
Average coupon
- as of period end
|
3.70%
|
|
3.71%
|
|
3.67%
|
|
3.70%
|
|
3.67%
|
Average asset
yield - as of period end
|
2.93%
|
|
2.89%
|
|
2.85%
|
|
2.84%
|
|
2.83%
|
Average actual
CPR for securities held during the period
|
9%
|
|
10%
|
|
12%
|
|
11%
|
|
11%
|
Average
forecasted CPR - as of period end
|
8%
|
|
8%
|
|
9%
|
|
9%
|
|
8%
|
Total premium
amortization, net
|
$
(69)
|
|
$
(96)
|
|
$
(97)
|
|
$
(96)
|
|
$
(89)
|
TBA securities -
average implied asset yield 7
|
3.08%
|
|
2.93%
|
|
2.99%
|
|
3.08%
|
|
2.69%
|
Combined investment
and TBA securities - average asset yield, excluding "catch-up"
premium
amortization 8
|
2.94%
|
|
2.88%
|
|
2.87%
|
|
2.86%
|
|
2.74%
|
Cost of
funds:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements - average funding cost
|
1.69%
|
|
1.43%
|
|
1.34%
|
|
1.15%
|
|
1.01%
|
TBA securities
- average implied funding cost 6
|
1.49%
|
|
1.23%
|
|
1.12%
|
|
0.88%
|
|
0.58%
|
Interest rate
swaps - average cost of funds 10
|
0.06%
|
|
0.13%
|
|
0.18%
|
|
0.24%
|
|
0.34%
|
Average total
cost of funds, inclusive of TBAs and interest rate swap periodic
costs 8
|
1.68%
|
|
1.52%
|
|
1.46%
|
|
1.31%
|
|
1.23%
|
Repurchase
agreements - average funding cost as of period end
|
1.82%
|
|
1.57%
|
|
1.36%
|
|
1.27%
|
|
1.05%
|
Interest rate
swaps - average net pay/(receive) rate as of period end
17
|
(0.08)%
|
|
0.30%
|
|
0.35%
|
|
0.41%
|
|
0.46%
|
Net interest
margin:
|
|
|
|
|
|
|
|
|
|
Combined
investment and TBA securities average net interest
margin
|
1.38%
|
|
1.35%
|
|
1.34%
|
|
1.46%
|
|
1.44%
|
Combined
investment and TBA securities average net interest margin,
excluding "catch-up"
premium amortization
|
1.26%
|
|
1.36%
|
|
1.41%
|
|
1.55%
|
|
1.51%
|
Expenses % of average
stockholders' equity - annualized 2
|
0.84%
|
|
0.96%
|
|
0.89%
|
|
0.85%
|
|
0.98%
|
Economic return
(loss) on tangible common equity - unannualized
18
|
(2.6)%
|
|
2.3%
|
|
5.6%
|
|
2.5%
|
|
1.8%
|
*Except as noted below, average numbers for each period are
weighted based on days on the Company's books and records. All
percentages are annualized, unless otherwise noted.
Numbers in financial tables may not total due to rounding.
- Tangible net book value per common share excludes preferred
stock liquidation preference and goodwill and other intangible
assets, net.
- During Q1 2018, the Company adopted new accounting guidance on
revenue recognition, which resulted in reclassification of
expense reimbursements from MTGE Investment Corp. from an operating
expense offset to management fee income. Net income was not
impacted. Prior periods have been revised accordingly, as
applicable.
- Table includes non-GAAP financial measures and/or amounts
derived from non-GAAP measures. Refer to "Use of Non-GAAP
Financial Information" for additional discussion of non-GAAP
financial measures.
- Amount reported in gain (loss) on derivatives instruments and
other securities, net in the accompanying consolidated statements
of operations.
- Dollar roll income represents the price differential, or "price
drop," between the TBA price for current month settlement versus
the TBA price for forward month settlement. Amount is net of
TBAs used for hedging purposes. Amount excludes TBA mark-to-market
adjustments.
- The implied funding cost of TBA dollar roll transactions is
determined using the "price drop" (Note 5) and market based
assumptions regarding the "cheapest-to-deliver" collateral that can
be delivered to satisfy the TBA contract, such as the anticipated
collateral's weighted average coupon, weighted average maturity and
projected 1-month CPR. The average implied funding cost for
all TBA transactions is weighted based on the Company's daily
average TBA balance outstanding for the period.
- The average implied asset yield for TBA dollar roll
transactions is extrapolated by adding the average TBA implied
funding cost (Note 6) to the net dollar roll yield. The net
dollar roll yield is calculated by dividing dollar roll income
(Note 5) by the average TBA cost basis outstanding for the
period.
- Amount calculated on a weighted average basis based on average
balances outstanding during the period and their respective asset
yield/funding cost.
- Represents periodic interest costs/income on the Company's
interest rate swap portfolio. Amount excludes interest rate
swap termination fees and mark-to-market adjustments.
- Interest rate swap cost of funds represents interest rate swap
periodic costs measured as a percent of total mortgage funding
(Agency repurchase agreements, other debt and TBA securities).
- "Catch-up" premium amortization cost/benefit is reported in
interest income on the accompanying consolidated statements of
operations
- Investment securities include Agency MBS, CRT and non-Agency
securities. Amounts exclude TBA securities.
- Average repurchase agreements and other debt includes Agency
repo and debt of consolidated VIE's. Amount excludes U.S.
Treasury repurchase agreements.
- Average stockholders' equity calculated as the average
month-ended stockholders' equity during the quarter.
- Average tangible net book value "at risk" leverage during the
period was calculated by dividing the sum of the daily weighted
average Agency repurchase agreements, other debt and net TBA
position (at cost) outstanding for the period by the sum of average
stockholders' equity adjusted to exclude investments in REIT equity
securities and goodwill and other intangible assets. Leverage
excludes U.S. Treasury repurchase agreements.
- Tangible net book value "at risk" leverage as of period end was
calculated by dividing the sum of the amount outstanding under
Agency repurchase agreements, other debt, net TBA position (at
cost) and net receivable / payable for unsettled investment
securities outstanding by the sum of total stockholders' equity
adjusted to exclude investments in REIT equity securities and
goodwill and other intangible assets at period end. Leverage
excludes U.S. Treasury repurchase agreements.
- Includes forward starting swaps not yet in effect as of
reported period-end.
- Economic return (loss) on tangible common equity represents the
sum of the change in tangible net book value per common share and
dividends declared on common stock during the period over the
beginning tangible net book value per common share.
STOCKHOLDER CALL
AGNC invites stockholders,
prospective stockholders and analysts to attend the AGNC
stockholder call on April 26, 2018 at 8:30 am ET. Interested persons who do not
plan on asking a question and have internet access are encouraged
to utilize the free live webcast at www.AGNC.com. Those who
plan on participating in the Q&A or do not have internet
available may access the call by dialing (877) 300-5922 (U.S.
domestic) or (412) 902-6621 (international). Please advise the
operator you are dialing in for the AGNC Investment Corp.
stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q1 2018 Earnings
Presentation link to download and print the presentation in advance
of the stockholder call.
An archived audio of the stockholder call combined with the
slide presentation will be available on the AGNC website after the
call on April 26, 2018. In addition, there will be a
phone recording available one hour after the live call on
April 26, 2018 through May 10,
2018. Those who are interested in hearing the recording of
the presentation, can access it by dialing (877) 344-7529 (U.S.
domestic) or (412) 317-0088 (international), passcode
10118544.
For further information, please contact Investor Relations at
(301) 968-9300 or IR@AGNC.com.
ABOUT AGNC INVESTMENT CORP.
AGNC Investment Corp. is
an internally-managed real estate investment trust ("REIT") that
invests primarily in residential mortgage-backed securities for
which the principal and interest payments are guaranteed by a U.S.
Government-sponsored enterprise or a U.S. Government agency.
For further information, please refer to www.AGNC.com.
FORWARD LOOKING STATEMENTS
This press release contains
forward-looking statements. Forward-looking statements are
based on estimates, projections, beliefs and assumptions of
management of the Company at the time of such statements and are
not guarantees of future performance. Forward-looking
statements involve risks and uncertainties in predicting future
results and conditions. Actual results could differ
materially from those projected in these forward-looking statements
due to a variety of important factors, including, without
limitation, changes in interest rates, changes in the yield curve,
changes in prepayment rates, the availability and terms of
financing, changes in the market value of the Company's assets,
general economic conditions, market conditions, conditions in the
market for Agency securities, and legislative and regulatory
changes that could adversely affect the business of the
Company. Certain factors that could cause actual results to
differ materially from those contained in the forward-looking
statements, are included in the Company's periodic reports filed
with the Securities and Exchange Commission ("SEC"). Copies
are available on the SEC's website, www.sec.gov. The Company
disclaims any obligation to update or revise any forward-looking
statements based on the occurrence of future events, the receipt or
new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to
the results presented in accordance with GAAP, the Company's
results of operations discussed in this release include certain
non-GAAP financial information, including "net spread and dollar
roll income," "net spread and dollar roll income, excluding
'catch-up' premium amortization," "economic interest income"
and "economic interest expense" (both components of "net spread and
dollar roll income"), "estimated taxable income" and the related
per common share measures and certain financial metrics derived
from such non-GAAP information, such as "cost of funds" and "net
interest margin."
"Net spread and dollar roll income" is measured as (i) net
interest income (GAAP measure) adjusted to include TBA dollar roll
income, interest rate swap periodic costs and dividend income from
REIT equity securities (referred to as "adjusted net interest and
dollar roll income"), plus (ii) management fee income (GAAP
measure) and less (iii) total operating expense (GAAP measure).
"Net spread and dollar roll income, excluding 'catch-up' premium
amortization," further excludes retrospective "catch-up"
adjustments to premium amortization cost or benefit due to changes
in projected CPR estimates. Related amounts available to
common stockholders exclude non-recurring issuance costs of
redeemed preferred stock.
By providing users of the Company's financial information with
such measures in addition to the related GAAP measures, the Company
believes users will have greater transparency into the information
used by the Company's management in its financial and operational
decision-making. The Company also believes that it is
important for users of its financial information to consider
information related to the Company's current financial performance
without the effects of certain transactions that are not
necessarily indicative of its current investment portfolio
performance and operations.
Specifically, in the case of "adjusted net interest and dollar
roll income," the Company believes the inclusion of TBA dollar roll
income is meaningful as TBAs, which are accounted for under GAAP as
derivative instruments with gains and losses recognized in other
gain (loss) in the Company's statement of operations, are
economically equivalent to holding and financing generic Agency MBS
using short-term repurchase agreements. Similarly, the
Company believes that the inclusion of periodic interest rate swap
settlements in such measure, which are recognized under GAAP in
other gain (loss), is meaningful as interest rate swaps are the
primary instrument the Company uses to economically hedge against
fluctuations in the Company's borrowing costs and inclusion of
periodic interest rate swap settlement costs is more indicative of
the Company's total cost of funds than interest expense
alone. In the case of "net spread and dollar roll income,
excluding 'catch-up' premium amortization," the Company believes
the exclusion of "catch-up" adjustments to premium amortization
cost or benefit is meaningful as it excludes the cumulative effect
from prior reporting periods due to current changes in future
prepayment expectations and, therefore, exclusion of such cost or
benefit is more indicative of the current earnings potential of the
Company's investment portfolio. The Company also believes the
exclusion of issuance costs of redeemed preferred stock reported as
a reduction to net income available to common stockholders under
GAAP is meaningful as they represent non-recurring costs associated
capital transactions and are not representative of ongoing
costs. In the case of estimated taxable income, the Company
believes it is meaningful information as it is directly related to
the amount of dividends the Company is required to distribute in
order to maintain its REIT qualification status.
However, because such measures are incomplete measures of the
Company's financial performance and involve differences from
results computed in accordance with GAAP, they should be considered
as supplementary to, and not as a substitute for, results computed
in accordance with GAAP. In addition, because not all
companies use identical calculations, the Company's presentation of
such non-GAAP measures may not be comparable to other
similarly-titled measures of other companies. Furthermore,
estimated taxable income can include certain information that is
subject to potential adjustments up to the time of filing the
Company's income tax returns, which occurs after the end of its
fiscal year.
A reconciliation of GAAP net interest income to non-GAAP "net
spread and dollar roll income, excluding 'catch-up' premium
amortization" and a reconciliation of GAAP net income to non-GAAP
"estimated taxable income" is included in this release.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9303
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SOURCE AGNC Investment Corp.